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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

-3 votes
1 answer
440 views

Conditional expectation [closed]

Given E[v|X=x]=g[x] and the pdf of X (f[x]), how to calculate E[v|x>=x0]? The pdf of V or the joint pdf of V,X are unknown. My guess is that this problem has no solution.
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  • 19
1 vote
3 answers
246 views

Extreme value theory

I have been asked to provide an "approximation at infinity" of an expression that at the end simplifies to $-\frac{b e^{-a t}-a e^{-b t}}{a-b}$, in a course about extreme value theory. In the course, …
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